Results 21 to 30 of about 1,024,611 (253)

Time-dependent Heston model [PDF]

arXiv, 2014
This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
arxiv   +4 more sources

Rough-Heston Local-Volatility Model

International Journal of Theoretical and Applied Finance, 2022
In industrial applications it is quite common to use stochastic-volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a local-volatility term.
Enrico Dall'Acqua, Riccardo Longoni, Andrea Pallavicini   +2 more
openalex   +4 more sources

A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model. [PDF]

Comput Econ, 2023
Yoon Y, Kim JH.
europepmc   +3 more sources

A note on essential smoothness in the Heston model [PDF]

arXiv, 2011
This note studies an issue relating to essential smoothness that can arise when the theory of large deviations is applied to a certain option pricing formula in the Heston model. The note identifies a gap, based on this issue, in the proof of Corollary 2.4 in \cite{FordeJacquier10} and describes how to circumvent it.
Forde, M., Jacquier, A., Mijatovic, A.
arxiv   +4 more sources

Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance [PDF]

Computational and Applied Mathematics, 2022
Yoon Y, Seo J, Kim J.
europepmc   +3 more sources

Global Sensitivity Analysis of Various Numerical Schemes for the Heston Model [PDF]

Computational Science – ICCS 202020th International Conference, 2020
Atanassov E, Kucherenko S, Karaivanova A.   +2 more
europepmc   +2 more sources

The rough Hawkes Heston stochastic volatility model

SSRN Electronic Journal, 2022
AbstractWe study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stochastic volatility model, the spot variance is a rough Hawkes‐type process proportional to the intensity process of the jump component appearing in the dynamics of the ...
Alessandro Bondi, Sergio Pulido, Simone Scotti   +2 more
openalex   +6 more sources

Pricing VIX options under the Heston-Hawkes stochastic volatility model [PDF]

arXiv
We derive a semi-analytical pricing formula for European VIX call options under the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343. This arbitrage-free model incorporates the volatility clustering feature by adding an independent compound Hawkes process to the Heston volatility.
Oriol Zamora Font
openalex   +2 more sources

Comparison of Option Pricing with Stochastic Volatility in Heston and Heston Nandi Model [PDF]

تحقیقات مالی, 2023
Objective The significance of the capital market in driving the economic growth and development of a country necessitates a thorough examination of this market from multiple perspectives.
Mohammad Reza Haddadi, Hossein Nasrollahi   +1 more
doaj   +1 more source

Pricing of geometric Asian options in the Volterra-Heston model. [PDF]

Rev Deriv Res (Dordr)
Aichinger F, Desmettre S.
europepmc   +3 more sources